The problem occurs because MS CRM is using an HttpModule for multitenancy scenarios. This http module is called with an anonymous user account. This is why it fails when trying to request, i.e. the metadata webservice.
We realized, that after installing Live Messenger we do not see the Contact/System User icon anymore in our MS CRM system.
Figure 1: Live Messenger
Instead we get this IM presence icon. In 99,9 % it is grey because no one has all the CRM contacts in his Messenger and therefore it is uninteresting for our users.
I now tried to find out how we can turn this off and it is not very easy to find information about this presence information.